Nathan Lassance

LFIN/LIDAM, UCLouvain

Assistant Professor

151 Chaussée de Binche

Mons, 7000

Belgium

  • LFIN/LIDAM, UCLouvain

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 21,009

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4,700

SSRN CITATIONS
Rank 17,706

SSRN RANKINGS

Top 17,706

in Total Papers Citations

75

CROSSREF CITATIONS

6

Ideas:
“  My current research agenda is to understand the properties of out-of-sample portfolio performance and use those insights to construct robust investment strategies.  ”

  • LFIN/LIDAM, UCLouvain

Scholarly Papers (18)

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1.

Optimal Portfolio Diversification via Independent Component Analysis

Operations Research, 2022, 70(1):55-72
Number of pages: 56 Posted: 09 Dec 2018 Last Revised: 08 Feb 2022
Nathan Lassance, Victor DeMiguel and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, London Business School and LFIN/LIDAM, UCLouvain
Downloads 1,251 (32,339)
Citation 2

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Portfolio selection, risk parity, factor analysis, principal component analysis, higher moments

2.

The Risk of Expected Utility under Parameter Uncertainty

Management Science, forthcoming
Number of pages: 105 Posted: 01 Jun 2021 Last Revised: 18 Aug 2023
Nathan Lassance, Alberto Martin-Utrera and Majeed Simaan
LFIN/LIDAM, UCLouvain, Iowa State University and Stevens Institute of Technology - School of Business
Downloads 654 (78,595)
Citation 11

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parameter uncertainty, mean-variance portfolio, shrinkage

3.

Maximizing the Out-of-Sample Sharpe Ratio

Number of pages: 61 Posted: 18 Nov 2021 Last Revised: 03 Mar 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 512 (106,747)
Citation 2

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mean-variance portfolio, parameter uncertainty, estimation risk, out-of-sample performance

4.

Optimal Portfolio Choice with Fat Tails and Parameter Uncertainty

Number of pages: 63 Posted: 03 Jan 2024 Last Revised: 27 Mar 2024
Raymond Kan and Nathan Lassance
University of Toronto - Rotman School of Management and LFIN/LIDAM, UCLouvain
Downloads 331 (175,877)
Citation 26

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portfolio combination, elliptical distribution, estimation risk

5.

Information-Theoretic Approaches to Portfolio Selection

Louvain School of Management Doctoral Thesis
Number of pages: 240 Posted: 04 Jan 2020 Last Revised: 21 Jan 2020
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 303 (193,161)
Citation 1

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Portfolio selection, higher moments, information theory, entropy, independent component analysis

6.

On the Combination of Naive and Mean-Variance Portfolio Strategies

Journal of Business & Economic Statistics, forthcoming
Number of pages: 98 Posted: 22 Jul 2022 Last Revised: 22 Jul 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 202 (287,516)
Citation 8

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portfolio optimization, parameter uncertainty, estimation risk, equally weighted portfolio, portfolio constraints

7.

A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

Applied Economics, Volume 50, Issue 10, pp. 1122-1137
Number of pages: 15 Posted: 17 Jul 2017 Last Revised: 05 Jan 2018
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 189 (305,398)

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Option Pricing, Dynamic Hedging, Stochastic Volatility, Payoff Replication, Calibration

8.

Minimum Rényi Entropy Portfolios

Annals of Operations Research, 2021, 299(1):23-46.
Number of pages: 37 Posted: 16 May 2017 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 189 (305,398)
Citation 2

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Portfolio selection, Shannon entropy, Rényi entropy, Risk measure, Information theory, Risk parity

9.

Portfolio Selection: A Target-Distribution Approach

European Journal of Operational Research (forthcoming)
Number of pages: 63 Posted: 28 Jul 2021 Last Revised: 14 Feb 2023
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 186 (309,734)
Citation 3

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portfolio optimization, higher moments, downside risk, Kullback-Leibler divergence

10.

Portfolio selection with parsimonious higher comoments estimation

Journal of Banking and Finance (2021), 126(9), 106-115.
Number of pages: 29 Posted: 01 Oct 2019 Last Revised: 07 Apr 2021
Nathan Lassance and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 169 (337,315)
Citation 2

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Portfolio selection; Estimation risk; Independent component analysis; Principal component analysis; Higher moments

11.

The Distribution of Sample Mean-Variance Portfolio Weights

Random Matrices: Theory and Applications, forthcoming
Number of pages: 19 Posted: 18 May 2023 Last Revised: 24 Jan 2024
Raymond Kan, Nathan Lassance and Xiaolu Wang
University of Toronto - Rotman School of Management, LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 167 (340,818)

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portfolio choice; estimation risk; stochastic representation; high-dimensional asymptotics; minimum-variance frontier

12.

Reconciling mean-variance portfolio theory with non-Gaussian returns

European Journal of Operational Research, 2021, 297(2):729-740.
Number of pages: 36 Posted: 15 Sep 2020 Last Revised: 15 Dec 2021
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 122 (438,030)
Citation 4

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Mean-variance portfolio, Higher moments, Estimation risk

13.

Do Limits to Arbitrage Explain Portfolio Gains from Asset Mispricing?

Number of pages: 59 Posted: 12 Apr 2024
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 97 (516,575)

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efficient frontier, estimation risk, transaction costs, sentiment, short-sale constraints.

14.

An Analytical Shrinkage Estimator for Linear Regression

Downloads 82 (573,723)

An Analytical Shrinkage Estimator for Linear Regression

Statistics & Probability Letters (2023), vol. 194
Number of pages: 6 Posted: 22 Nov 2022 Last Revised: 22 Dec 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 43 (802,449)

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linear regression, prediction error, shrinkage, out-of-sample

An Analytical Shrinkage Estimator for Linear Regression

Number of pages: 6 Posted: 18 Oct 2022
Nathan Lassance
LFIN/LIDAM, UCLouvain
Downloads 39 (833,245)

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linear regression, prediction error, shrinkage, out-of-sample

15.

The Economic Value of Mean Squared Error: Evidence from Portfolio Selection

Number of pages: 35 Posted: 07 Jun 2024
Zhaokun Cai, Zhenyu Cui, Nathan Lassance and Majeed Simaan
Stevens Institute of Technology, Students, Stevens Institute of Technology - School of Business, LFIN/LIDAM, UCLouvain and Stevens Institute of Technology - School of Business
Downloads 72 (617,369)

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loss functions, decision theory, out-of-sample risk, investment

16.

Optimal Portfolio Size under Parameter Uncertainty

Number of pages: 80 Posted: 11 Jul 2024
Nathan Lassance, Rodolphe Vanderveken and Frédéric D. Vrins
LFIN/LIDAM, UCLouvain, LFIN/LIDAM, UCLouvain and LFIN/LIDAM, UCLouvain
Downloads 67 (641,490)

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portfolio selection, estimation risk, dimension reduction, out-of-sample performance, portfolio combination rules JEL Classification: G11

17.

The distribution of out-of-sample returns of estimated optimal portfolios

Number of pages: 83 Posted: 22 Aug 2024
Nathan Lassance, Raymond Kan and Xiaolu Wang
LFIN/LIDAM, UCLouvain, University of Toronto - Rotman School of Management and Iowa State University
Downloads 63 (667,201)

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portfolio choice, out-of-sample performance, parameter uncertainty, estimation risk, stochastic representation. JEL Classification: G11, G12

18.

Sentiment-Based Portfolios

Number of pages: 74 Posted: 02 Apr 2020 Last Revised: 05 Dec 2023
Nathan Lassance and Alberto Martin-Utrera
LFIN/LIDAM, UCLouvain and Iowa State University
Downloads 44 (775,568)
Citation 1

Abstract:

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Efficient frontier, transaction costs, parameter uncertainty, sentiment.